| 信用债券定价中的基准利率选择 |
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| 引用本文： | 袁绍锋,陈咏晖. 信用债券定价中的基准利率选择[J]. 地质技术经济管理, 2011, 0(5): 85-87 |
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| 作者姓名： | 袁绍锋 陈咏晖 |
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| 作者单位： | [1]东北财经大学研究生院,辽宁大连116025 [2]中国人民银行长沙中心支行,湖南长沙410000 |
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| 摘 要： | 银行间债券市场定价基础的不统一导致信用债券误定价现象时有发生。采用Granger因果关系检验方法分析了央行票据与同业拆借利率之间的相互引导关系，研究发现央行票据是引起同业拆借利率变化的Granger原因．由此可以推断央行票据利率具有更强的价格发现功能，是当前市场条件下信用债券定价的基准利率。
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| 关 键 词： | 信用债券 基准利率 Granger因果检验 |
On the Benchmark Rate of Credit Bond Pricing |
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| Yuan Shaofeng,Chen Yonghui. On the Benchmark Rate of Credit Bond Pricing[J]. Geological Technoeconomic Management, 2011, 0(5): 85-87 |
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| Authors: | Yuan Shaofeng Chen Yonghui |
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| Affiliation: | 1 .Graduate School, Dongbei University of Finance and Economics, Dalian 116025, China ; 2.Changsha Branch of the Peoplc＇s Bank of China,Changsha 410000,China) |
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| Abstract: | The benchmark rate is a basically factor of credit bond pricing. This paper take the Granger causality methods to analyze the lead-lag relationship between SHIBOR and the yield of Center Bank Bills（CBB）,and find that the yield of CBB is the Granger causality factor of SHIBOR, which means that the yield of CBB is more suitable for benchmark rate. |
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| Keywords: | credit bond benchmark rate Granger Causality Test |
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